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Helper class to wrap in a StrippedOptionletBase object a matrix of exogenously calculated optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities).

Hierarchy

Implements

Index

Constructors

constructor

Properties

_alwaysForward

_alwaysForward: boolean = false

Private _businessDayConvention

_businessDayConvention: BusinessDayConvention

_calculated

_calculated: boolean = false

Private _calendar

_calendar: Calendar

Private _dc

Private _displacement

_displacement: Real

_frozen

_frozen: boolean = false

Private _iborIndex

_iborIndex: IborIndex

_isDisposed

_isDisposed: boolean = false

Private _nOptionletDates

_nOptionletDates: Size

Private _nStrikes

_nStrikes: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _optionletAtmRates

_optionletAtmRates: Rate[]

Private _optionletDates

_optionletDates: Date[]

Private _optionletStrikes

_optionletStrikes: Rate[][]

Private _optionletTimes

_optionletTimes: Time[]

Private _optionletVolQuotes

_optionletVolQuotes: Array<Array<Handle<Quote>>>

Private _optionletVolatilities

_optionletVolatilities: Volatility[][]

Private _settlementDays

_settlementDays: Natural

Private _type

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

alwaysForwardNotifications

  • alwaysForwardNotifications(): void
  • This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.

    warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.

    Returns void

atmOptionletRates

  • atmOptionletRates(): Rate[]

businessDayConvention

calculate

  • calculate(): void
  • This method performs all needed calculations by calling the performCalculations method.

    warning Objects cache the results of the previous calculation. Such results will be returned upon later invocations of calculate. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.

    warning Should this method be redefined in derived classes, LazyObject.calculate() should be called in the overriding method.

    Returns void

calendar

Private checkInputs

  • checkInputs(): void
  • Returns void

dayCounter

deepUpdate

  • deepUpdate(): void

displacement

  • displacement(): Real

freeze

  • freeze(): void
  • This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.

    Returns void

optionletFixingDates

  • optionletFixingDates(): Date[]

optionletFixingTimes

  • optionletFixingTimes(): Time[]

optionletMaturities

  • optionletMaturities(): Size

optionletStrikes

optionletVolatilities

performCalculations

  • performCalculations(): void

recalculate

  • recalculate(): void
  • This method force the recalculation of any results which would otherwise be cached. It is not declared as const since it needs to call the non-const notifyObservers method.

    note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.

    Returns void

Private registerWithMarketData

  • registerWithMarketData(): void
  • Returns void

settlementDays

unfreeze

  • unfreeze(): void
  • This method reverts the effect of the freeze method, thus re-enabling recalculations.

    Returns void

update

  • update(): void

volatilityType